Hello Chris,
It is difficult to say, but usually it is motor which burns first. However we have experience with situation when one component takes another, and then whe you exchange that "bad" then it will take also another (right Keith? :- ))) )
Overloaded motor (improperly selected motor for prop and power) can heat so much that magnets will loose strength. Motor will need even more current to keep RPM and it will go even quicker. Burned winding will confuse ESC and it will try commutate in improper time and that can kill also ESC. So they usually go together. And burned ESC can short also battery which can make nice firework
But it could be caused also by deffective component - short between windings in motor coil can also heat motor or make erros in commutation, it can kill them also.
And defective transistor in ESC can do the same.
Those two last probles can be checked when motor is tested on test stand WITHOUT PROP. Motor running at full power (not with ESC with governor) without load should take defined "no load current" which should be stated in motor specifications. Weak magnes, short between coils or deffective ESC will make that current signifficantly higher. Do not use such components.